The data appendix for "A Theory of Stock Exchange Competition and Innovation: Will the Market Fix the Market?" can be found here. 

There are four numbered directories which correspond to: 
    (1) Analysis of exchange trading fees (Section 2.1 and Appendix A)
    (2) Analysis of exchange data and co-location revenue (Section 2.2 and Appendix B)
    (3) Analysis of TAQ data (exchange market shares in Section 2.3 and Appendix C, and empirical evidence on the virtual single platform theory in Appendix F)
    (4) Analysis of discrete vs continuous exchange competition with additional frictions (Appendix G)

See the individual readme files in each directory for details on each set of analyses.